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题目：THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON STOCKS*
作者：Rolf W. BANZ
简介：This study examines the empirical relattonship between the return and the total market value of
NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on
average, than larger lirms. This ‘size effect’ has been in existence for at least forty years and is
evidence that the capital asset pricing model is misspecttied. The size elfect is not linear in the
market value; the main effect occurs for very small tirms while there is little difference m return
between average sized and large firms. It IS not known whether size per se is responsible for the
effect or whether size IS just a proxy for one or more true unknown factors correlated with size.
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